Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0109
Annualized Std Dev 0.1357
Annualized Sharpe (Rf=0%) 0.0806

Row

Daily Return Statistics

Close
Observations 2974.0000
NAs 1.0000
Minimum -0.1050
Quartile 1 -0.0035
Median 0.0004
Arithmetic Mean 0.0001
Geometric Mean 0.0000
Quartile 3 0.0044
Maximum 0.0597
SE Mean 0.0002
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0004
Variance 0.0001
Stdev 0.0086
Skewness -1.4927
Kurtosis 20.2136

Downside Risk

Close
Semi Deviation 0.0065
Gain Deviation 0.0055
Loss Deviation 0.0074
Downside Deviation (MAR=210%) 0.0115
Downside Deviation (Rf=0%) 0.0065
Downside Deviation (0%) 0.0065
Maximum Drawdown 0.3274
Historical VaR (95%) -0.0124
Historical ES (95%) -0.0211
Modified VaR (95%) -0.0138
Modified ES (95%) -0.0377
From Trough To Depth Length To Trough Recovery
2012-11-26 2020-03-18 NA -0.3274 2094 1840 NA
2010-09-07 2011-01-14 2012-05-21 -0.2019 431 92 339
2009-06-22 2009-07-08 2009-10-06 -0.1100 75 12 63
2012-07-27 2012-08-13 2012-10-01 -0.0740 46 12 34
2009-10-09 2009-12-30 2010-03-08 -0.0623 102 57 45

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2009 NA NA NA NA -0.7 1.4 1.3 0.8 0.7 -0.2 1.1 0.2 4.8
2010 0.7 0 0.7 -0.1 0.1 0.7 0.3 0.3 0.3 -0.5 -1.7 1.4 2.2
2011 1.1 0.9 0.5 0.5 -0.7 0.6 0.9 -0.2 -0.1 1.2 0.9 1.2 7
2012 0.4 0.4 1 0.7 -0.3 0.5 -0.5 0.6 1.3 0.1 -0.6 1 4.6
2013 -0.2 -0.1 -0.4 0.5 -0.8 1 -0.1 0 -0.1 -1.7 0.2 -0.8 -2.5
2014 0.4 -0.1 -0.1 0.7 -0.1 -0.1 0.6 0 0.3 0.1 0 -0.2 1.6
2015 0.5 0.2 0.3 -0.8 0.9 0.5 0.7 0 0.2 0 -0.3 0 2.3
2016 0.2 0.1 0.6 0.8 1.1 0.7 -0.2 0 0.2 0.5 -0.6 0 3.4
2017 0.3 -1.1 0 0.2 -0.1 -0.3 0.6 0 -0.7 0.5 0.1 -0.2 -0.6
2018 -0.5 0.2 -0.6 0 0 0.5 0.9 0.7 0 -0.7 0.3 0.3 1.3
2019 1.3 0 0.2 2 1.6 0.9 0.3 0.4 0.4 0.5 0 -0.6 7.2
2020 -0.4 -0.8 -3.2 0.1 0.9 -0.2 0.2 0.4 0.4 1.9 -0.1 0.2 -0.6
2021 0.2 -0.3 3.4 NA NA NA NA NA NA NA NA NA 3.3

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2009-05-27  20   SPY    89.7 -0.0179  -0.0159   0.0446    0.166   -0.353   -0.289   -0.187 GLD    93.4 -0.0033   0.0274
2 2009-05-28  20.0 SPY    90.9  0.0139   0.0045   0.0625    0.202   -0.347   -0.288   -0.187 GLD    94.2  0.0085   0.0216
3 2009-05-29  20.1 SPY    92.5  0.0177   0.0372   0.0588    0.252   -0.339   -0.279   -0.176 GLD    96.2  0.0208   0.025 
4 2009-06-01  20   SPY    94.8  0.0242   0.0646   0.0841    0.342   -0.325   -0.248   -0.160 GLD    95.7 -0.0049   0.0168
5 2009-06-02  20.0 SPY    94.8  0.0008   0.0389   0.0792    0.354   -0.317   -0.256   -0.160 GLD    96.4  0.0066   0.0277
6 2009-06-03  20.2 SPY    93.6 -0.0127   0.0444   0.0305    0.306   -0.322   -0.272   -0.169 GLD    94.4 -0.0202   0.0103
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart